1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - **Volatility Trading**: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - **Volatility Trading**: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - **Volatility Trading**: Similar volatility trading suggestions were given. [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - **Volatility Trading**: Similar volatility trading suggestions were given. [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - **Volatility Trading**: Similar volatility trading suggestions were given. [69] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party price. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - **Volatility Trading**: Similar volatility trading suggestions were given. [85] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - **Volatility Trading**: Similar volatility trading suggestions were given. [93]

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 4, 2025 [1] 2. Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at - the - money options, 30 - day historical volatility, and daily true range for various option underlyings such as ps2512, lc2512, etc. [3][4] - Explanation of volatility indicators: At - the - money option implied volatility reflects market expectations of future volatility; 30 - day historical volatility reflects past actual market movements; daily true range reflects intraday market movements [5] 3. Directory Summary 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: Presents the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main options is 620,628 lots, the open interest is 908,604 lots, the volume ratio of call to put options is 1.41, and the weighted average implied volatility is 15.48% [19][21] - **Volatility Trading**: Provides implied volatility curves of call options at different strike prices and deltas, and gives trading suggestions: sell the month with the upper curve and buy the month with the lower curve for different months; sell options with points above the curve and buy options with points below the curve for the same month [22][25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.16% at the settlement price and 1.63% at the counter - price [28][30] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Huatai - Berry SSE 300ETF options. The trading volume of the main options is 758,603 lots, the open interest is 760,840 lots, the volume ratio of call to put options is 1.26, and the weighted average implied volatility is 16.59% [31][33] - **Volatility Trading**: Similar to SSE 50ETF, provides implied volatility curves and trading suggestions [34][37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.99% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: Presents the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options is 1,395,214 lots, the open interest is 787,917 lots, the volume ratio of call to put options is 0.97, and the weighted average implied volatility is 21.25% [42][44] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [45][46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.4% at the settlement price and 8.91% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the T - type quotation table of Huaxia SSE STAR 50ETF options. The trading volume of the main options is 892,069 lots, the open interest is 1,190,316 lots, the volume ratio of call to put options is 1.32, and the weighted average implied volatility is 37.68% [53][55] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [56][59] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 0.99% at the counter - price [62][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 138,409 lots, the open interest is 290,526 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 37.89%. Presents the T - type quotation table [65][66] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [67][68] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.4% at the settlement price and 2.86% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Harvest SSE 300ETF options. The trading volume of the main options is 113,987 lots, the open interest is 156,678 lots, the volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.89% [75][77] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [78][79] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.4% at the settlement price and 2.70% at the counter - price [83][85] 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presents the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main options is 1,532,022 lots, the open interest is 1,111,146 lots, the volume ratio of call to put options is 1.11, and the weighted average implied volatility is 33.38% [86][88] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [89][91] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 2.67% at the counter - price [94][96]